getGroupRatio

Class: Portfolio

Obtain group ratio constraint arrays from Portfolio object

Syntax

[GroupA,GroupB,LowerRatio,UpperRatio] = getGroupRatio(obj)

Description

[GroupA,GroupB,LowerRatio,UpperRatio] = getGroupRatio(obj) obtains the group ratio constraint arrays from a Portfolio object.

Tips

You can also use dot notation to obtain the equality constraint arrays from the Portfolio object.

[GroupA, GroupB, LowerRatio, UpperRatio] = obj.getGroupRatio;

Input Arguments

obj

Portfolio object [Portfolio].

Output Arguments

GroupA

Matrix that forms base groups for comparison [matrix].

GroupB

Matrix that forms comparison groups [matrix].

LowerRatio

Lower bound for ratio of GroupB groups to GroupA groups [vector].

UpperRatio

Upper bound for ratio of GroupB groups to GroupA groups [vector].

Attributes

Accesspublic
Staticfalse
Hiddenfalse

To learn about attributes of methods, see Method Attributes in the MATLAB® Object-Oriented Programming documentation.

Examples

expand all

Obtain Group Ratio Constraints

Suppose you want to make sure that the ratio of financial to nonfinancial companies in your portfolios never goes above 50%. Assume you have 6 assets with 3 financial companies (assets 1-3) and 3 nonfinancial companies (assets 4-6). After setting group ratio constraints, obtain the values for GroupA, GroupB, LowerRatio, and UpperRatio.

GA = [ true true true false false false ];    % financial companies
GB = [ false false false true true true ];    % nonfinancial companies
p = Portfolio;
p = setGroupRatio(p, GA, GB, [], 0.5);
[GroupA, GroupB, LowerRatio, UpperRatio] = getGroupRatio(p)
GroupA =

     1     1     1     0     0     0


GroupB =

     0     0     0     1     1     1


LowerRatio =

     []


UpperRatio =

    0.5000

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